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CrossGamma Taylor WVaE 99

Description Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity

The CrossGamma sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

  1. The Taylor VaR calculation to compute the CrossGamma.Vector.PnL.VarExplain.Native on trade currency.
  2. The Sub PnL Vector transformation to produce CrossGamma.Sub.Vector.PnL.VarExplain.Native.
  3. The FX Effect on VaR calculation to convert it to the display currency as CrossGamma.Vector.PnL.VarExplain.

The PnL vector is used by the Weighted VaE measure with a confidence level of 99%, using the VaR Interpolation method.

The VaE metric is the best PnL scenario using the Weighted VaR method.